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Around 11:15, just for yucks, I changed the SI data series to one tick. Talk about a fast chart. The results were pretty good, but I couldn't help notice how many trades did not trigger--49 to be exact. Catching a close of bar limit isn't easy with a one tick brick. A proforma review of those missed trades shows more winners than losers, but I didn't spend the time to compute the effect on PnL.
I mention this because even though NT has one of the best Sim analyzers in the business, it isn't perfect. A limit trader on Sim has two options: to take a trade at the limit if price is touched or rely on the esoterica of NT's algorithm. Some traders say the second choice triggers a trade if price trades through the limit, but NT did not confirm this.
Yes, that is an option, but it negatively impacts performance since this is primarily a scalping system. I want to buy/sell to open at the close of the trigger bar. If I can't get fill on that bar, the trade is canceled.
Exit is currently at market and there is a 2 tick slip from the trigger which I can live with because when it says get out, I want out. I'll see about changing the code for exits to trigger +/-1. If that can fill most of the time, the benefit is big.